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~isPartOf:"The journal of futures markets"
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
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Prognoseverfahren
Stochastic process
Volatility
344
Volatilität
344
USA
127
United States
127
Option pricing theory
71
Optionspreistheorie
71
Börsenkurs
68
Share price
68
Index futures
67
Index-Futures
67
Option trading
61
Optionsgeschäft
61
Estimation
60
Schätzung
60
Commodity derivative
50
Rohstoffderivat
50
Derivat
45
Derivative
45
Theorie
39
Theory
39
ARCH model
38
ARCH-Modell
38
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33
Capital income
29
Hedging
29
Kapitaleinkommen
29
Stochastischer Prozess
29
Handelsvolumen der Börse
27
Trading volume
27
Welt
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World
27
Yield curve
23
Zinsstruktur
23
Aktienindex
22
Stock index
22
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19
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English
60
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Bali, Turan G.
2
Elliott, Robert J.
2
Fatone, Lorella
2
Guo, Biao
2
Mariani, Francesca
2
Vipul
2
Wang, Zhiguang
2
Zhang, Jin E.
2
Zirilli, Francesco
2
Albert, Pascal
1
Alexiou, Lykourgos
1
Asai, Manabu
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1
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1
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Chung, Huimin
1
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1
Cui, Zhenyu
1
Dai, Tian-Shyr
1
Dark, Jonathan
1
Das, Debojyoti
1
Dias, José Carlos
1
Ding, Kailin
1
Doran, James S.
1
Dutta, Anupam
1
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1
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1
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1
Gao, Xin
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1
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1
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The journal of futures markets
International journal of theoretical and applied finance
139
Journal of econometrics
138
Energy economics
131
Finance research letters
125
International journal of forecasting
120
Journal of forecasting
115
Quantitative finance
108
Journal of banking & finance
82
Discussion paper / Tinbergen Institute
79
The North American journal of economics and finance : a journal of financial economics studies
79
International review of financial analysis
77
Journal of empirical finance
77
Economic modelling
73
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Applied economics
68
International review of economics & finance : IREF
65
Applied mathematical finance
61
Computational economics
60
Working paper
59
Journal of economic dynamics & control
58
Econometric reviews
56
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
The journal of computational finance
50
Economics letters
49
Journal of financial econometrics : official journal of the Society for Financial Econometrics
48
Finance and stochastics
47
European journal of operational research : EJOR
45
Applied economics letters
44
Journal of risk and financial management : JRFM
43
The European journal of finance
43
Journal of mathematical finance
42
Applied financial economics
41
Risks : open access journal
41
Journal of financial economics
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
38
CREATES research paper
37
Journal of financial econometrics
37
Research paper series / Swiss Finance Institute
37
Insurance / Mathematics & economics
36
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ECONIS (ZBW)
60
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1
Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
2
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
3
Less disagreement, better forecasts : adjusted risk measures in the energy futures market
Zhang, Ning
;
Gong, Yujing
;
Xue, Xiaohan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1332-1372
Persistent link: https://www.econbiz.de/10014339438
Saved in:
4
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
5
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
6
Forecasting variance swap payoffs
Dark, Jonathan
;
Gao, Xin
;
Heijden, Thijs van der
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2135-2164
Persistent link: https://www.econbiz.de/10013465873
Saved in:
7
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
8
Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng
;
Shi, Yanlong
;
Ying, Tingting
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
Saved in:
9
Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures
Luo, Jiawen
;
Zhang, Qun
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 151-217
Persistent link: https://www.econbiz.de/10014475455
Saved in:
10
Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
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